The Research On Risk Measurement Methods Of Small And Medium Commercial Banks Based On Copula

Commercial banks as the main component part of the financial system,which have the characteristics of high risk and the high debt determines the risk prevention and risk management is the foundation of the survival and development of commercial banks.However,risk management of small and medium commercial bank of our country is still at the primary stage, hasn’t formed an unified theory of risk monitoring and control as the large commercial banks.With the development of the level of risk management of financial institutions, the comprehensive risk management of small and medium commercial bank has become one of the latest research direction, designing measure small and medium commercial bank institutions faced with kinds of risks at the same time.Credit risk, market risk and operational risk for the current small and medium commercial bank was the main risk control and management.The integration of the above three kinds of risk is the comprehensive risk management.But because of different risks in small and medium commercial bank also have different sources,and the influence of different interaction and relationship between all kinds of risk factors,causing of the comprehensive commercial bank risk is difficult to describe.In this paper, on the basis of the existing literature, measured by the copula function of small and medium commercial bank overall risk.This article will select on January 4,2010 to December 31, 2014 five years of the 1212 valid data of small and medium commercial banks as the research target.First of all, separately analyzed listed rate of return on credit risk and market risk for small and medium commercial Banks. Through their their respective risk factor relationship building model and calculating their risk marginal distribution..Secondly, through the copula function to integration the rate of return on the credit risk and the rate of return on the market risk.Not only getting the rate of return on the operational risk data has high difficulty and poor accuracy question,but also in this paper the rate of return on the operational risk data collection is not perfect.Therefore, for the operational risk just to introduce but quantitative analysis.Finally,comparatting and analysising on single risk measurement results and the integration measurement results through the copula function,reflecting the many advantages of the establishment for the overall risk measure method.Through the Copula function can be more accurately reflect with nonlinear correlation characteristics’ function and improving the accuracy of the measurement results and the practical significance.if managing credit risk,market risk and operational risk separation,setting aside funds separation,it would cause the whole capital of commercial banks to wasted.In contrast, integration management of the three kinds ofrisk and fully consider the correlation of them can save the capital effectively and improve the efficiency of risk management.Therefore, this paper selects listed the small and medium commercial banks as the research object. Through the method of Copula function,trying to improve the traditional method of risk measurement,carrying on the conformity to the listed the small and medium commercial banks of our country from the market risk, credit risk and operational risk, and getting a overall level measure of the banks. Through the method of risk measure more scientific and more reasonable to calculating the most close to the actual situation of risk loss and providing the more accurate and more realistic significance study method. And then to improve Banks’ risk monitoring and management level.